the answer would be longer then you may expect.
but the basic is: you need a DeviceContect propperbly set up for Open GL .. so a opengl Context.
You may google this topic to find a complex introduction.

this looks basicly right, but there are so many OpenGL settings that may leed to the fact that you canīt see anything.
my hint would be.
cut out your opengl part into a simple c++ / opengl programm running in the full window.
when you are shure its showing correctly in this version move it back to the programm that should only show in a pannel.
we could help you mutch better with this 'only opengl' version.

does the control turn red? If not have you checked that the context is created successfully? i.e. Is mhRC != NULL ?

Also, SetPixelFormat can only be called once for a window so if it's called elsewhere and sets a pixel format that doesn't support OpenGL, then you will need to recreate the window to set a pixel format that does support OpenGL.